Efficient factor GARCH models and factor-DCC models
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Cites work
- A test for independence based on the correlation dimension
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- CAViaR
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
- Entropy and predictability of stock market returns.
- Generalized autoregressive conditional heteroscedasticity
- Jacobi Angles for Simultaneous Diagonalization
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Cited in
(19)- Assessing the forecasting accuracy of the conditionally heteroskedastic latent factor model
- Independent Factor Autoregressive Conditional Density Model
- Cholesky-GARCH models with applications to finance
- The relation between conditionally heteroskedastic factor models and factor GARCH models
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- COMFORT: a common market factor non-Gaussian returns model
- Method of moments estimation of GO-GARCH models
- A Student-t full factor multivariate GARCH model
- A factor-GARCH model for high dimensional volatilities
- Causality in linear nongaussian acyclic models in the presence of latent Gaussian confounders
- The multivariate GARCH model and its application to East Asian financial market integration
- GARCH-type factor model
- Dynamic factor multivariate GARCH model
- Short communication: Deep fundamental factor models
- A nested factor model for non-linear dependencies in stock returns
- On the univariate representation of BEKK models with common factors
- New approaches of the multivariate GARCH residual: application to foreign exchange rates
- A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
- Estimating factor models for multivariate volatilities: an innovation expansion method
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